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I went down this road a few years ago. Reading up on algorithmic trading is a great start. HFT often employs normal algorithmic trading techniques optimized f

I went down this road a few years ago. Reading up on algorithmic trading is a great start. HFT often employs normal algorithmic trading techniques optimized for low latency. There are some algorithms that only work when you have a temporal edge. That is the software side. The hardware side is really interesting as well. If a connection to an exchange can be reduced by a few milliseconds it gives a competitive advantage. There is a lot of money spent to be the fastest because for some types of algorithmic trading being fastest almost means free money. Because of how lucrative a minor edge can be you are not likely to find many details on the bleeding edge of HFT. Beware, the more you read about the practices of HFT firms the more some of it looks like fraud on a grand scale. For example, front running orders is a common practice that goes unpunished for HFT firms but will land you or I in jail. I got into algorithmic trading and HFT when I was dabbling in bot trading cryptocurrencies. The wild west of crypto bot trading is pretty much gone now but man it was fun while it lasted. In addition to the algorithmic trading books suggested I found these links helpful: https://www.quantstart.com/articles/Beginners-Guide-to-Quantitative-Trading/ https://www.quantstart.com/articles/Beginners-Guide-to-Quant... https://www.youtube.com/watch?v=rB5jJuMP84E https://www.youtube.com/watch?v=rB5jJuMP84E - just neat https://www.youtube.com/watch?v=oUVchh37AO8 https://www.youtube.com/watch?v=oUVchh37AO8 https://www.youtube.com/watch?v=bo-F61ZuBDg https://www.youtube.com/watch?v=bo-F61ZuBDg - 2010 flash crash

boshalfoshal 3y ago
Do you work at/have worked at a trading firm? Frontrunning is indeed illegal and several firms get fined for it. I was at a top trading shop and we and other places take compliance pretty seriously nowadays. Otherwise (if you aren't a prop firm) you'll lose clients, get fined, lose reputation, etc. Also fyi being the very fastest has diminishing returns. You are at the whim of the exchange's matching engine processing order, which may be nondeterministic. There are places nowadays that derive their edge from fast hw/sw, but increasingly, the most successful places are ones with the smarter strategies, higher volume, and more products traded.

boshalfoshal 3y ago

Do you work at/have worked at a trading firm? Frontrunning is indeed illegal and several firms get fined for it. I was at a top trading shop and we and other places take compliance pretty seriously nowadays. Otherwise (if you aren't a prop firm) you'll lose clients, get fined, lose reputation, etc. Also fyi being the very fastest has diminishing returns. You are at the whim of the exchange's matching engine processing order, which may be nondeterministic. There are places nowadays that derive their edge from fast hw/sw, but increasingly, the most successful places are ones with the smarter strategies, higher volume, and more products traded.